go to Penn Station -- 34th and 7ave.. below MSG.
Get yourself to the LIRR -- jump on any train which stops at Westbury -- during rush hour, you can get one every 20 min or so. Ticket via vending machine or the at a booth below the main board. Grab a schedule so you can see what trains to catch on the way back. Or you can ask a conductor on the train out for return trip times.
Once at Westbury, just grab a cab to Nassau Coliseum. Shouldn't take more than 15 minutes. Right down Post Ave.
If you have extra time, go into Marriott to talk hockey at the bar & grill -- or just walk across to arena.
Enjoy!